1. Report Industry Investment Rating No relevant content provided. 2. Core Viewpoints of the Report The report presents a comprehensive analysis of various options, including their basic information, trading volumes, open interests, implied volatilities, and provides volatility trading suggestions and risk - free arbitrage returns. It offers a reference for investors in the options market [3][19][21]. 3. Summary According to the Table of Contents 3.1 Shanghai Stock Exchange Options 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the main SSE 50 ETF options on the day was 578,280 lots, the open interest was 1,251,325 lots, the trading volume ratio of call options to put options was 1.32, and the weighted - average implied volatility was 21.5% [21]. - **Volatility Trading**: Sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [23]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 24.4% at the settlement price and 2.77% at the counter - price [27][29]. 3.1.2 Huatai - Peregrine CSI 300 ETF - **Basic Information**: The trading volume of the main Huatai - Peregrine CSI 300 ETF options on the day was 720,991 lots, the open interest was 959,003 lots, the trading volume ratio of call options to put options was 1.15, and the weighted - average implied volatility was 21.61% [32]. - **Volatility Trading**: Similar to SSE 50 ETF, sell the month with the curve on top and buy the month with the curve below for different months; sell the option with the point on the curve above and buy the option with the point on the curve below for the same month [36]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 20.1% at the settlement price and 1.32% at the counter - price [39][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main Southern CSI 500 ETF options on the day was 1,295,375 lots, the open interest was 931,223 lots, the trading volume ratio of call options to put options was 1.31, and the weighted - average implied volatility was 24.86% [45]. - **Volatility Trading**: The same trading suggestions as above [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 76.0% at the settlement price and 17.6% at the counter - price [52][54]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main Huaxia SSE STAR Market 50 ETF options on the day was 1,112,259 lots, the open interest was 1,644,909 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 51.67% [57]. - **Volatility Trading**: Follow the general volatility trading suggestions [59]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 35.6% at the settlement price and 16.0% at the counter - price [63][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main E Fund SSE STAR Market 50 ETF options on the day was 208,001 lots, the open interest was 464,253 lots, the trading volume ratio of call options to put options was 2.06, and the weighted - average implied volatility was 50.94% [67]. - **Volatility Trading**: Adopt the same volatility trading strategies [70]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 56.3% at the settlement price and 10.6% at the counter - price [74][76]. 3.2 Shenzhen Stock Exchange Options 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main Harvest CSI 300 ETF options on the day was 141,658 lots, the open interest was 234,347 lots, the trading volume ratio of call options to put options was 1.28, and the weighted - average implied volatility was 24.79% [80]. - **Volatility Trading**: Use the common volatility trading advice [82]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held until maturity was 14.1% at the settlement price and 0.94% at the counter - price [86][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main E Fund ChiNext ETF options on the day was 1,754,047 lots, the open interest was 1,461,858 lots, the trading volume ratio of call options to put options was 1.13, and the weighted - average implied volatility was 48.5% [91]. - **Volatility Trading**: Follow the general volatility trading rules [94]. - **Risk - Free Arbitrage**: No relevant risk - free arbitrage content provided.

Report Information - Report Name: Pioneer Futures Option Daily Report - Date: September 15, 2025 [1] Option Volatility Ranking - The table shows the ranking of option underlying assets in terms of at-the-money option implied volatility, 30-day historical volatility, and daily true range. For example, jd2510 ranks 1st in at-the-money option implied volatility and daily true range, with values of 3.8% and 5.3% respectively, and 12th in 30-day historical volatility with a value of 1.5% [3]. - Notes on volatility: The at-the-money option implied volatility reflects the market's expectation of future fluctuations of the variety, the 30-day historical volatility reflects the actual past market size, and the daily true range reflects the intraday market size [5]. Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main options of the Shanghai 50ETF on this day is 547,658 lots, the open interest is 1,242,032 lots, the trading volume ratio of call options to put options is 1.52, and the weighted average implied volatility is 20.98% [18][20]. - **Volatility Trading**: Different months - sell the month with the curve on top and buy the month with the curve below; same month - sell the option with the point on the curve above and buy the option with the point on the curve below [24]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 9.24%; at the counter - price, it is 2.33% [27][29]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main options of the Huatai - Berry CSI 300ETF on this day is 690,611 lots, the open interest is 986,453 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 20.59% [30][32]. - **Volatility Trading**: Similar trading suggestions as for the Shanghai 50ETF [39]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 15.7%; at the counter - price, it is 0.69% [40][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main options of the Southern CSI 500ETF on this day is 954,892 lots, the open interest is 927,890 lots, the trading volume ratio of call options to put options is 1.29, and the weighted average implied volatility is 23.83% [44][46]. - **Volatility Trading**: Similar trading suggestions as above [48]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 60.7%; at the counter - price, it is 10.6% [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the Huaxia Shanghai Science and Technology Innovation 50ETF on this day is 1,060,390 lots, the open interest is 1,618,164 lots, the trading volume ratio of call options to put options is 1.96, and the weighted average implied volatility is 52.16% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.3%; at the counter - price, it is 4.53% [63][64]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main options of the E Fund Shanghai Science and Technology Innovation 50ETF on this day is 209,046 lots, the open interest is 459,663 lots, the trading volume ratio of call options to put options is 2.46, and the weighted average implied volatility is 51.25% [65][67]. - **Volatility Trading**: Similar trading suggestions as above [70]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 59.5%; at the counter - price, it is 6.44% [74][76]. 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300ETF - **Basic Information**: The trading volume of the main options of the Harvest CSI 300ETF on this day is 125,850 lots, the open interest is 228,920 lots, the trading volume ratio of call options to put options is 1.48, and the weighted average implied volatility is 22.5% [77][80]. - **Volatility Trading**: Similar trading suggestions as above [84]. - **Risk - Free Arbitrage**: At the settlement price, the minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.8%; at the counter - price, there is no minimum annualized return [87][89]. 2.2 E Fund ChiNext ETF - **Basic Information**: The document provides the T - type quotation table of the E Fund ChiNext ETF options but does not mention the trading volume, open interest, trading volume ratio, and weighted average implied volatility of the main options [90]. - **Volatility Trading**: Not mentioned in the provided content. - **Risk - Free Arbitrage**: Not mentioned in the provided content.

Report Information - The report is the Pioneer Futures Options Daily Report dated September 4, 2025 [1] Core Information Options Volatility Ranking - Presents the implied volatility, historical volatility for 30 days, and daily true volatility of multiple option targets, along with their rankings. For example, ps2510 has an implied volatility of 5.3% (ranked 1st), a 30 - day historical volatility of 2.3% (ranked 4th), and a daily true volatility of 1.5% (ranked 32nd) [3] Volatility Trading Insights - For different months, sell options from months with higher - ranking curves and buy those from months with lower - ranking curves; for the same month, sell options with points above the curve and buy those with points below the curve [23][34] Risk - free Arbitrage Returns - Provides the minimum annualized returns of optimal arbitrage portfolios for various ETF options when traded at settlement prices and counter - party prices. For instance, for the Huatai - Baoying CSI 300 ETF, the minimum annualized return is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] Directory Summary 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,482,827 lots, the open interest is 1,345,622 lots, the volume ratio of call to put options is 1.22, and the weighted average implied volatility is 22.13% [19][21] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 9.72% at the settlement price and 0.32% at the counter - party price [27][29] 1.2 Huatai - Baoying CSI 300 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 1,370,832 lots, the open interest is 1,047,558 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 22.22% [30][32] - **Volatility Trading**: Provides volatility trading suggestions according to implied volatility curves [34] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 22.9% at the settlement price and 5.17% at the counter - party price [38][41] 1.3 Southern CSI 500 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,102,038 lots, the open interest is 1,041,307 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 26.99% [42][44] - **Volatility Trading**: Gives volatility trading suggestions based on implied volatility curves [49] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 59.1% at the settlement price and 11.6% at the counter - party price [51][53] 1.4 Huaxia Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 2,416,741 lots, the open interest is 1,547,127 lots, the volume ratio of call to put options is 0.99, and the weighted average implied volatility is 48.77% [54][56] - **Volatility Trading**: Offers volatility trading suggestions according to implied volatility curves [57] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 37.3% at the settlement price and 8.66% at the counter - party price [61][62] 1.5 E Fund Shanghai Science and Technology Innovation 50 ETF - **Basic Information**: Shows the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 519,143 lots, the open interest is 455,701 lots, the volume ratio of call to put options is 1.03, and the weighted average implied volatility is 51.35% [63][65] - **Volatility Trading**: Provides volatility trading suggestions based on implied volatility curves [67] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 49.0% at the settlement price and 11.3% at the counter - party price [71][73] 2. Shenzhen Stock Exchange Options 2.1 Harvest CSI 300 ETF - **Basic Information**: Presents the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 232,909 lots, the open interest is 247,956 lots, the volume ratio of call to put options is 1.14, and the weighted average implied volatility is 23.66% [74][77] - **Volatility Trading**: Gives volatility trading suggestions according to implied volatility curves [81] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio is 20.9% at the settlement price and 2.41% at the counter - party price [84][85] 2.2 E Fund ChiNext ETF - **Basic Information**: Displays the call and put option prices at different strike prices and expiration months. The trading volume of the main options is 3,181,923 lots, the open interest is 1,403,161 lots, the volume ratio of call to put options is 0.93, and the weighted average implied volatility is 42.06% [86][88] - **Volatility Trading**: Offers volatility trading suggestions based on implied volatility curves [90] - **Risk - free Arbitrage**: Not provided in the given content

先锋期货期权日报 2025-9-1 风险揭示 本报告中的信息或所表述的意见并不构成对任何人的投资建议。本报告所载 的资料、工具、意见及推测只提供给客户作参考之用。过去的表现并不代表未来 的表现，未来的回报也无法保证，投资者可能会损失本金。 在任何情况下，我们不对任何人因使用本报告中的任何内容所引致的任何损 失负任何责任，投资者需自行承担风险。此报告中所指的投资及服务可能不适合 阁下，我们建议阁下如有任何疑问应咨询独立投资顾问。 | 标 的 | 平值期权隐 | 排 名 | 标的30天历 | 排 名 | 标的当日 | 排 名 | | --- | --- | --- | --- | --- | --- | --- | | | 含波动率 | | 史波动率 | | 真实波幅 | | | ps2509 | 4.9% | 1 | 4.3% | 1 | 4.1% | 3 | | lc2509 | 3.6% | 2 | 3.7% | 3 | 2.9% | 7 | | si2509 | 3.4% | 3 | 3.3% | 4 | 5.0% | 2 | | fg509 | 2.6% | 4 | 4.2% | 2 | 2.3% | ...

Report Industry Investment Rating No relevant information provided. Core Viewpoints No clear core viewpoints are presented in the given text. The report mainly provides data on various option products, including their prices, trading volumes, open interests, and implied volatilities, along with some trading suggestions for volatility trading and no - risk arbitrage. Summary by Directory 1. Shanghai Stock Exchange Options 1.1 Shanghai 50ETF - **Basic Information**: The trading volume of the main Shanghai 50ETF options on the day was 918,708 lots, the open interest was 930,895 lots, the trading volume ratio of call options to put options was 1.54, and the weighted - average implied volatility was 18.03% [22]. - **Volatility Trading**: Suggestions include selling the month with the curve above and buying the month with the curve below for different months; selling options with points above the curve and buying options with points below the curve for the same month [24]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.7% at the settlement price and 2.00% at the counter - price [28][30]. 1.2 Huatai - Berry CSI 300ETF - **Basic Information**: The trading volume of the main 300ETF options on the day was 854,566 lots, the open interest was 628,127 lots, the trading volume ratio of call options to put options was 1.74, and the weighted - average implied volatility was 18.05% [34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell the month with the curve above and buy the month with the curve below for different months; sell options with points above the curve and buy options with points below the curve for the same month [38]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 20.2% at the settlement price and 1.61% at the counter - price [41][43]. 1.3 Southern CSI 500ETF - **Basic Information**: The trading volume of the main 500ETF options on the day was 1,394,196 lots, the open interest was 759,763 lots, the trading volume ratio of call options to put options was 1.29, and the weighted - average implied volatility was 22.49% [46]. - **Volatility Trading**: The same trading suggestions as above for different and same months [48]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.3% at the settlement price and 2.89% at the counter - price [52][54]. 1.4 Huaxia Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main Huaxia Shanghai Science and Technology Innovation 50ETF options on the day was 1,002,164 lots, the open interest was 769,146 lots, the trading volume ratio of call options to put options was 2.24, and the weighted - average implied volatility was 33.28% [57]. - **Volatility Trading**: Follow the same rules for different and same months [62]. - **No - Risk Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 56.2% at the settlement price and 8.08% at the counter - price [64][66]. 1.5 E Fund Shanghai Science and Technology Innovation 50ETF - **Basic Information**: The trading volume of the main E Fund Shanghai Science and Technology Innovation 50ETF options on the day was 225,524 lots, the open interest was 264,533 lots, the trading volume ratio of call options to put options was 2.71, and the weighted - average implied volatility was 33.47% [68]. - **Volatility Trading**: Adopt the same trading suggestions for different and same months [73].

Report Summary 1. Report Industry Investment Rating No information provided in the document. 2. Core View of the Report The report presents the daily data of futures and options, including the implied volatility of at - the - money options, 30 - day historical volatility, and the true range of various underlying assets. It also provides detailed information on options of different ETFs and futures contracts on multiple exchanges, including basic information, volatility trading suggestions, and risk - free arbitrage analysis. 3. Summary by Directory 3.1 Shanghai Stock Exchange Options - **1.1 Shanghai 50ETF** - **Basic Information**: The trading volume of the main options of Shanghai 50ETF on the day was 1,012,222 lots, the open interest was 991,286 lots, the trading volume ratio of call options to put options was 1.46, and the weighted average implied volatility was 18.54% [21]. - **Volatility Trading**: Suggestions are to sell options in months with higher implied volatility curves and buy those in months with lower curves; for the same month, sell options with higher points on the curve and buy those with lower points [23]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 19.9% at the settlement price and 2.97% at the counter - price [27][29]. - **1.2 Huatai - Berry CSI 300ETF** - **Basic Information**: The trading volume of the main options of Huatai - Berry CSI 300ETF on the day was 872,051 lots, the open interest was 669,322 lots, the trading volume ratio of call options to put options was 1.52, and the weighted average implied volatility was 19.02% [33]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in lower - curve months; for the same month, follow the rule of high - point selling and low - point buying [36]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.9% at the settlement price and 4.14% at the counter - price [40][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: The trading volume of the main options of Southern CSI 500ETF on the day was 1,459,211 lots, the open interest was 750,941 lots, the trading volume ratio of call options to put options was 1.29, and the weighted average implied volatility was 23.16% [45]. - **Volatility Trading**: Volatility trading suggestions are the same as above [51][52]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 26.6% at the settlement price and 2.72% at the counter - price [54][56]. - **1.4 Huaxia SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of Huaxia SSE STAR 50 ETF on the day was 1,053,911 lots, the open interest was 818,616 lots, the trading volume ratio of call options to put options was 1.99, and the weighted average implied volatility was 35.53% [59]. - **Volatility Trading**: Follow the same volatility trading rules [65]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 30.3% at the settlement price and 5.97% at the counter - price [67][69]. - **1.5 E Fund SSE STAR 50 ETF** - **Basic Information**: The trading volume of the main options of E Fund SSE STAR 50 ETF on the day was 240,600 lots, the open interest was 269,707 lots, the trading volume ratio of call options to put options was 2.07, and the weighted average implied volatility was 38.61% [72]. - **Volatility Trading**: Adopt the same volatility trading suggestions [76]. - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 24.0% at the settlement price and 1.58% at the counter - price [79][81]. 3.2 Shenzhen Stock Exchange Options - **2.1 Harvest CSI 300ETF** - **Basic Information**: The trading volume of the main options of Harvest CSI 300ETF on the day was 217,214 lots, the open interest was 179,258 lots, the trading volume ratio of call options to put options was 1.12, and the weighted average implied volatility was 22.01% [85]. - **Volatility Trading**: No detailed information on volatility trading results was given, but the document mentions volatility trading in general terms for other similar options [86]. - **Risk - free Arbitrage**: No information provided in the document.

Report Information - Report Name: Pioneer Futures Options Daily Report - Date: August 13, 2025 1. Industry Investment Rating No industry investment rating is provided in the report. 2. Core Viewpoints The report presents data on various option targets, including their at - the - money implied volatility, 30 - day historical volatility, and daily true range. It offers trading suggestions for different types of traders based on these volatility indicators. Additionally, it provides detailed information on options from multiple exchanges, including basic information, volatility trading analysis, and risk - free arbitrage opportunities for each option [3][6]. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange 3.1.1 SSE 50 ETF - **Basic Information**: The trading volume of the SSE 50 ETF's main options is 1,148,616 lots, the open interest is 965,882 lots, the trading volume ratio of call options to put options is 1.68, and the weighted average implied volatility is 15.49% [21]. - **Volatility Trading**: Suggestions include selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options with points above the curve and buy those below [24]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.41% at the settlement price and 1.42% at the counter - price [29][30]. 3.1.2 Huatai - PineBridge CSI 300 ETF - **Basic Information**: The trading volume of the main options is 987,627 lots, the open interest is 728,479 lots, the trading volume ratio of call options to put options is 1.74, and the weighted average implied volatility is 16.44% [34]. - **Volatility Trading**: Similar to the SSE 50 ETF, sell options in months with higher curves and buy those in lower - curve months. For the same month, sell options above the curve and buy those below [38]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 13.8% at the settlement price and 0.71% at the counter - price [41][42]. 3.1.3 Southern CSI 500 ETF - **Basic Information**: The trading volume of the main options is 1,485,224 lots, the open interest is 793,927 lots, the trading volume ratio of call options to put options is 1.42, and the weighted average implied volatility is 18.03% [45]. - **Volatility Trading**: Follow the same trading suggestions as above for different and same - month options [47]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 17.6% at the settlement price and 3.23% at the counter - price [51][53]. 3.1.4 Huaxia SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 722,346 lots, the open interest is 936,244 lots, the trading volume ratio of call options to put options is 2.69, and the weighted average implied volatility is 28.93% [56]. - **Volatility Trading**: Adopt the same volatility trading strategies [58]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 25.2% at the settlement price and 4.06% at the counter - price [62][64]. 3.1.5 E Fund SSE STAR Market 50 ETF - **Basic Information**: The trading volume of the main options is 147,800 lots, the open interest is 259,850 lots, the trading volume ratio of call options to put options is 3.31, and the weighted average implied volatility is 29.91% [66]. - **Volatility Trading**: Use the recommended volatility trading methods [68]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 18.2% at the settlement price and 1.04% at the counter - price [72][74]. 3.2 Options on the Shenzhen Stock Exchange 3.2.1 Harvest CSI 300 ETF - **Basic Information**: The trading volume of the main options is 190,634 lots, the open interest is 157,090 lots, the trading volume ratio of call options to put options is 1.83, and the weighted average implied volatility is 18.15% [78]. - **Volatility Trading**: Follow the general volatility trading suggestions [83]. - **Risk - Free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 12.8% at the settlement price and 0.11% at the counter - price [87][88]. 3.2.2 E Fund ChiNext ETF - **Basic Information**: The trading volume of the main options is 2,545,537 lots, the open interest is 1,164,611 lots, the trading volume ratio of call options to put options is 1.55, and the weighted average implied volatility is 28.23% [91]. - **Volatility Trading**: Implement the provided volatility trading strategies [94]. - **No risk - free arbitrage information is provided in the given report for this option**.

Report Summary 1. Report Industry Investment Rating No relevant content provided. 2. Core View of the Report The report is a futures and options daily report from Pioneer Futures on August 12, 2025. It presents volatility data of various option underlying assets and offers trading suggestions for different types of options on multiple exchanges. 3. Summary by Directory 3.1 Options on the Shanghai Stock Exchange - **1.1 Shanghai 50ETF** - **Basic Information**: Provided the T - type quotation table of Shanghai 50ETF options, including call and put option prices at different strike prices. The trading volume of the main - contract options was 945,946 lots, the open interest was 956,178 lots, the trading volume ratio of call to put options was 1.55, and the weighted - average implied volatility was 13.46% [19][21]. - **Volatility Trading**: Suggested selling options in months with higher implied volatility curves and buying those in months with lower curves. For options in the same month, sell options above the curve and buy those below [25]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 6.30% at the settlement price and 0.74% at the counter - price [28][30]. - **1.2 Huatai - Ba瑞 CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Huatai - Ba瑞 CSI 300ETF options. The trading volume of the main - contract options was 694,870 lots, the open interest was 734,255 lots, the trading volume ratio of call to put options was 1.46, and the weighted - average implied volatility was 13.77% [31][34]. - **Volatility Trading**: Similar to the Shanghai 50ETF, sell options in months with higher curves and buy those in months with lower curves. For the same month, sell options above the curve and buy those below [37]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 8.46% at the settlement price and 0.66% at the counter - price [41][42]. - **1.3 Southern CSI 500ETF** - **Basic Information**: Provided the T - type quotation table of Southern CSI 500ETF options. The trading volume of the main - contract options was 910,867 lots, the open interest was 793,757 lots, the trading volume ratio of call to put options was 1.37, and the weighted - average implied volatility was 15.05% [43][45]. - **Volatility Trading**: Similar trading suggestions as above [49]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 43.9% at the settlement price and 9.12% at the counter - price [52][54]. - **1.4 Huaxia Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of Huaxia Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 802,085 lots, the open interest was 893,215 lots, the trading volume ratio of call to put options was 1.78, and the weighted - average implied volatility was 24.87% [55][57]. - **Volatility Trading**: Similar trading suggestions as above [59]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 20.9% at the settlement price and 1.92% at the counter - price [64][66]. - **1.5 E Fund Shanghai Science and Technology Innovation Board 50ETF** - **Basic Information**: Provided the T - type quotation table of E Fund Shanghai Science and Technology Innovation Board 50ETF options. The trading volume of the main - contract options was 167,234 lots, the open interest was 249,762 lots, the trading volume ratio of call to put options was 1.91, and the weighted - average implied volatility was 25.13% [67][68]. - **Volatility Trading**: Similar trading suggestions as above [72]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 7.11% at the settlement price and 0.99% at the counter - price [75][77]. 3.2 Options on the Shenzhen Stock Exchange - **2.1 Harvest CSI 300ETF** - **Basic Information**: Provided the T - type quotation table of Harvest CSI 300ETF options. The trading volume of the main - contract options was 125,214 lots, the open interest was 152,364 lots, the trading volume ratio of call to put options was 1.34, and the weighted - average implied volatility was 15.78% [78][81]. - **Volatility Trading**: Similar trading suggestions as above [87]. - **Risk - free Arbitrage**: The minimum annualized yield of the optimal arbitrage portfolio held to maturity was 16.0% at the settlement price and 0.74% at the counter - price [90][92].

Report Date - The report is dated August 11, 2025 [1] Option Volatility Ranking Implied Volatility Ranking - lc2510 ranks 1st with an implied volatility of 6.0% [3] - ps2510 ranks 2nd with an implied volatility of 4.0% [3] - si2510 ranks 3rd with an implied volatility of 3.9% [3] 30 - day Historical Volatility Ranking - ps2510 ranks 1st with a 30 - day historical volatility of 4.5% [3] - fg509 ranks 2nd with a 30 - day historical volatility of 4.3% [3] - lc2510 ranks 3rd with a 30 - day historical volatility of 4.2% [3] Realized Volatility Ranking - si2510 ranks 1st with a realized volatility of 6.6% [3] - ps2510 ranks 2nd with a realized volatility of 6.4% [3] - lc2510 ranks 3rd with a realized volatility of 5.0% [3] Exchange - specific Option Analysis Shanghai Stock Exchange Options Shanghai 50ETF - **Basic Information**: The trading volume of the main options is 650,390 lots, the open interest is 966,547 lots, the trading volume ratio of call to put options is 1.4, and the weighted average implied volatility is 13.31% [21] - **Volatility Trading**: Sell options from months with higher implied volatility curves and buy those from months with lower curves; sell options above the curve and buy those below the curve within the same month [23] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.49% at the settlement price and 1.73% at the counter - price [27][29] Huatai - Berry SSE 300ETF - **Basic Information**: The trading volume of the main options is 658,750 lots, the open interest is 744,639 lots, the trading volume ratio of call to put options is 1.25, and the weighted average implied volatility is 13.97% [33] - **Volatility Trading**: Similar trading suggestions as Shanghai 50ETF [35] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.35% at the settlement price and 0.48% at the counter - price [39][40] Southern CSI 500ETF - **Basic Information**: The trading volume of the main options is 1,100,668 lots, the open interest is 792,098 lots, the trading volume ratio of call to put options is 1.27, and the weighted average implied volatility is 15.48% [43] - **Volatility Trading**: Similar trading suggestions as above [47] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 48.1% at the settlement price and 10.5% at the counter - price [50][52] Huaxia SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 312,393 lots, the open interest is 912,757 lots, the trading volume ratio of call to put options is 1.67, and the weighted average implied volatility is 24.48% [55] - **Volatility Trading**: Similar trading suggestions as above [58] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.1% at the settlement price and 0.36% at the counter - price [62][64] E Fund SSE STAR 50ETF - **Basic Information**: The trading volume of the main options is 69,812 lots, the open interest is 242,298 lots, the trading volume ratio of call to put options is 2.35, and the weighted average implied volatility is 25.7% [67] - **Volatility Trading**: Similar trading suggestions as above [71] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 14.9% at the settlement price, and there is no return at the counter - price [74][76] Shenzhen Stock Exchange Options Harvest SSE 300ETF - **Basic Information**: The trading volume of the main options is 119,568 lots, the open interest is 152,124 lots, the trading volume ratio of call to put options is 1.51, and the weighted average implied volatility is 15.07% [80] - **Volatility Trading**: Similar trading suggestions as above [84] - **Risk - free Arbitrage**: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 21.6% at the settlement price and 1.29% at the counter - price [88][90] E Fund ChiNext ETF - **Basic Information**: The report provides the T - type quotation table of call and put option prices at different strike prices [91] - **Volatility Trading**: Not provided in the current content - **Risk - free Arbitrage**: Not provided in the current content

Group 1: Report Information - Report title: Pioneer Futures Options Daily Report [1] - Report date: August 7, 2025 [1] Group 2: Options Volatility Ranking - The report provides the implied volatility, historical volatility, and true range of various option targets, along with their rankings [3][5] - For example, ps2510 has an implied volatility of 3.4% (ranked 1st), a 30 - day historical volatility of 4.4% (ranked 1st), and a true range of 3.8% (ranked 2nd) [3] Group 3: Volatility Analysis and Trading Suggestions - The implied volatility of at - the - money options reflects the market's expectation of future price fluctuations; the 30 - day historical volatility reflects past price movements; and the true range reflects the intraday price movement [6] - Volatility trading suggestions: For different months, sell the options of the month with the curve on top and buy those of the month with the curve below; for the same month, sell the options with points above the curve and buy those with points below the curve [23][37][47] Group 4: Exchange - Specific Option Analysis 4.1 Shanghai Stock Exchange Options 4.1.1 Shanghai 50ETF - Basic information: The trading volume of the main options is 691,988 lots, the open interest is 938,390 lots, the volume ratio of call to put options is 1.35, and the weighted average implied volatility is 13.25% [21] - Volatility trading: Based on the implied volatility curves [23][25][26] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 5.44% at the settlement price and 0.32% at the counter - price [27][29] 4.1.2 Huatai - Berry SSE 300ETF - Basic information: The trading volume of the main options is 592,003 lots, the open interest is 737,739 lots, the volume ratio of call to put options is 1.27, and the weighted average implied volatility is 14.27% [33] - Volatility trading: Based on the implied volatility curves [35][36][39] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 8.66% at the settlement price and 1.47% at the counter - price [40][42] 4.1.3 Southern CSI 500ETF - Basic information: The trading volume of the main options is 1,067,360 lots, the open interest is 765,766 lots, the volume ratio of call to put options is 1.18, and the weighted average implied volatility is 14.92% [45] - Volatility trading: Based on the implied volatility curves [48][49][50] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 63.5% at the settlement price and 13.7% at the counter - price [51][53] 4.1.4 Huaxia SSE STAR 50ETF - Basic information: The trading volume of the main options is 522,602 lots, the open interest is 919,347 lots, the volume ratio of call to put options is 1.75, and the weighted average implied volatility is 24.24% [56] - Volatility trading: Based on the implied volatility curves [58][61][62] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 7.67% at the settlement price and 0.87% at the counter - price [63][65] 4.1.5 E Fund SSE STAR 50ETF - Basic information: The trading volume of the main options is 132,102 lots, the open interest is 251,057 lots, the volume ratio of call to put options is 1.94, and the weighted average implied volatility is 25.02% [68] - Volatility trading: Based on the implied volatility curves [70][72][73] - Risk - free arbitrage: The minimum annualized return of the optimal arbitrage portfolio held to maturity is 10.5% at the settlement price, and there is no return at the counter - price [74][76] 4.2 Shenzhen Stock Exchange Options 4.2.1 Harvest SSE 300ETF - Basic information: The trading volume of the main options is 118,126 lots, the open interest is 147,672 lots, the volume ratio of call to put options is 1.16, and the weighted average implied volatility is 15.7% [80] - Volatility trading: Based on the implied volatility curves [82][85][87]